Browsing Faculty of Natural and Agricultural Sciences by Subject "Basel"
Now showing items 1-5 of 5
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Applying lessons learnt from deficiencies in the Basel Accords to Solvency II
(Sabinet, 2013)Solvency II is the new European Union (EU) legislation that will review the capital adequacy regime for the insurance industry. Considerable progress has been made in the banking sector with the implementation of the Basel ... -
Asset correlations in single factor credit risk models: an empirical investigation
(Taylor & Francis, 2016)The internal ratings-based (IRB) approach (based on a single risk factor model) was designed by the Basel Committee on Banking Supervision (BCBS) to determine banks' regulatory credit risk capital. Key inputs of the model ... -
Default weighted survival analysis to directly model loss given default
(SASA, 2018)Traditionally when predicting loss given default (LGD), the following models can be used: beta regression, inverse beta model, fractional response regression, ordinary least squares regression, survival analysis, run-off ... -
Making use of survival analysis to indirectly model loss given default
(Stellenbosch Univ, 2018)A direct or indirect modelling methodology can be used to predict Loss Given Default (LGD). When using the indirect LGD methodology, two components exist, namely, the loss severity component and the probability component. ... -
The role of cost of capital in regulatory capital discrepancies among developing countries
(AOSIS, 2015)Capital as a regulatory instrument has been shown to contribute to competitiveness distortions between developed and developing countries. There is a dearth of literature that analyses the possibility of further competitiveness ...